---------------------------------------- Evaluation of Trend-Following Strategies ---------------------------------------- Prices up to the close on 2024-05-22.
------------- LME Aluminium ------------- Best AHD strategy over the last 5 years: exponential 7 59 Annualized return: 15.9% Annualized volatility: 15.9% Sharpe Ratio: 1.0 Trades/Year: 6 Long for the last 51 days. Switches to short after 10 days if price changes by -1.0% per day. Switches to short after 9 days if price changes by -1.25% per day. Switches to short after 8 days if price changes by -1.75% per day. Switches to short after 7 days if price changes by -2.0% per day. Chart:
Best AHD strategy over the last 4 years: exponential 7 59 Best AHD strategy over the last 3 years: simple 1 4 Annualized return: 25.7% Annualized volatility: 21.4% Sharpe Ratio: 1.2 Trades/Year: 71 Short for the last 1 day. Switches to long after 2 days if price changes by +1.5% per day. Switches to long after 3 days if price changes by +0.25% per day. Switches to flat after 3 days if price changes by 0% per day. Chart:
Best AHD strategy over the last 2 years: simple 15 234 Annualized return: 14.4% Annualized volatility: 13.1% Sharpe Ratio: 1.1 Trades/Year: 1 Long for the last 38 days. Chart:
Best AHD strategy over the last 1 year: simple 82 91 Annualized return: 22.7% Annualized volatility: 15.5% Sharpe Ratio: 1.5 Trades/Year: 9 Long for the last 14 days. Chart:
Sharpe ratios:
| exponential 7 59 | simple 1 4 | simple 15 234 | simple 82 91 | |
|---|---|---|---|---|
| Last 5 years | 0.997993 | 0.876308 | 0.936116 | 0.126666 |
| Last 4 years | 1.196293 | 0.898026 | 0.852120 | 0.089461 |
| Last 3 years | 1.064538 | 1.198399 | 0.858406 | -0.076003 |
| Last 2 years | 0.848062 | 0.719825 | 1.103373 | 0.698811 |
| Last 1 year | 0.530594 | -0.428234 | 0.680994 | 1.459081 |
---------- LME Copper ---------- Best CAD strategy over the last 5 years: simple 32 112 Annualized return: 20.4% Annualized volatility: 19.3% Sharpe Ratio: 1.1 Trades/Year: 2 Long for the last 113 days. Chart:
Best CAD strategy over the last 4 years: simple 32 112 Best CAD strategy over the last 3 years: simple 14 19 Annualized return: 12.7% Annualized volatility: 17.4% Sharpe Ratio: 0.7 Trades/Year: 23 Long for the last 61 days. Switches to short after 10 days if price changes by -1.5% per day. Switches to short after 9 days if price changes by -2.0% per day. Chart:
Best CAD strategy over the last 2 years: simple 28 39 Annualized return: 26.7% Annualized volatility: 16.8% Sharpe Ratio: 1.6 Trades/Year: 9 Long for the last 48 days. Chart:
Best CAD strategy over the last 1 year: simple 1 2 Annualized return: 924.2% Annualized volatility: 202.9% Sharpe Ratio: 4.6 Trades/Year: 137 Short for the last 2 days. Switches to flat after 1 day if price changes by -2.0% per day. Chart:
Sharpe ratios:
| simple 32 112 | simple 14 19 | simple 28 39 | simple 1 2 | |
|---|---|---|---|---|
| Last 5 years | 1.055722 | 0.721410 | 0.699521 | 0.033561 |
| Last 4 years | 1.166685 | 0.887977 | 0.887788 | 0.047257 |
| Last 3 years | 0.607685 | 0.730467 | 0.324678 | 0.014668 |
| Last 2 years | 1.383733 | 0.797612 | 1.596314 | 0.024931 |
| Last 1 year | 0.890967 | 0.359911 | 1.264157 | 4.555963 |
-------- LME Lead -------- Best PBD strategy over the last 5 years: exponential 1 2 Annualized return: 12.5% Annualized volatility: 16.5% Sharpe Ratio: 0.8 Trades/Year: 90 Short for the last 1 day. Switches to long after 2 days if price changes by +0.25% per day. Chart:
Best PBD strategy over the last 4 years: exponential 1 2 Best PBD strategy over the last 3 years: exponential 1 2 Best PBD strategy over the last 2 years: simple 59 73 Annualized return: 31.2% Annualized volatility: 22.0% Sharpe Ratio: 1.4 Trades/Year: 8 Long for the last 11 days. Chart:
Best PBD strategy over the last 1 year: simple 59 66 Annualized return: 60.9% Annualized volatility: 17.7% Sharpe Ratio: 3.4 Trades/Year: 12 Long for the last 14 days. Chart:
Sharpe ratios:
| exponential 1 2 | simple 59 73 | simple 59 66 | |
|---|---|---|---|
| Last 5 years | 0.756725 | 0.165881 | 0.025002 |
| Last 4 years | 0.995156 | 0.182414 | 0.081871 |
| Last 3 years | 1.130248 | 0.480789 | 0.361442 |
| Last 2 years | 0.925445 | 1.416946 | 1.247120 |
| Last 1 year | 0.763309 | 2.430198 | 3.442599 |
---------- LME Nickel ---------- Best NID strategy over the last 5 years: simple 35 48 Annualized return: 29.6% Annualized volatility: 28.7% Sharpe Ratio: 1.0 Trades/Year: 6 Long for the last 12 days. Chart:
Best NID strategy over the last 4 years: simple 35 43 Annualized return: 29.7% Annualized volatility: 33.5% Sharpe Ratio: 0.9 Trades/Year: 9 Long for the last 11 days. Chart:
Best NID strategy over the last 3 years: simple 35 43 Best NID strategy over the last 2 years: simple 60 82 Annualized return: 41.7% Annualized volatility: 26.3% Sharpe Ratio: 1.6 Trades/Year: 2 Long for the last 44 days. Chart:
Best NID strategy over the last 1 year: simple 32 39 Annualized return: 26.4% Annualized volatility: 13.4% Sharpe Ratio: 2.0 Trades/Year: 8 Long for the last 14 days. Chart:
Sharpe ratios:
| simple 35 48 | simple 35 43 | simple 60 82 | simple 32 39 | |
|---|---|---|---|---|
| Last 5 years | 1.031609 | 1.030630 | 0.541752 | 0.636253 |
| Last 4 years | 0.790213 | 0.886610 | 0.713002 | 0.524138 |
| Last 3 years | 0.838354 | 1.040071 | 0.803031 | 0.588542 |
| Last 2 years | 0.978510 | 1.430873 | 1.587239 | 0.030069 |
| Last 1 year | 1.432784 | 1.368370 | 1.385706 | 1.975296 |
------- LME Tin ------- Best SND strategy over the last 5 years: simple 26 54 Annualized return: 32.4% Annualized volatility: 15.3% Sharpe Ratio: 2.1 Trades/Year: 3 Long for the last 101 days. Chart:
Best SND strategy over the last 4 years: simple 28 59 Annualized return: 40.6% Annualized volatility: 15.4% Sharpe Ratio: 2.6 Trades/Year: 3 Long for the last 99 days. Chart:
Best SND strategy over the last 3 years: simple 28 59 Best SND strategy over the last 2 years: exponential 2 4 Annualized return: 41.1% Annualized volatility: 18.3% Sharpe Ratio: 2.2 Trades/Year: 44 Short for the last 1 day. Switches to long after 2 days if price changes by +1.0% per day. Switches to long after 3 days if price changes by +0.5% per day. Switches to long after 4 days if price changes by +0.25% per day. Chart:
Best SND strategy over the last 1 year: simple 3 6 Annualized return: 77.0% Annualized volatility: 29.5% Sharpe Ratio: 2.6 Trades/Year: 40 Long for the last 13 days. Switches to short after 1 day if price changes by -2.0% per day. Chart:
Sharpe ratios:
| simple 26 54 | simple 28 59 | exponential 2 4 | simple 3 6 | |
|---|---|---|---|---|
| Last 5 years | 2.117957 | 2.075193 | 1.171412 | 0.431476 |
| Last 4 years | 2.441261 | 2.639116 | 1.400520 | 0.469039 |
| Last 3 years | 1.857912 | 2.042439 | 1.271265 | 0.387729 |
| Last 2 years | 1.142205 | 0.959139 | 2.246257 | 0.541183 |
| Last 1 year | 1.186805 | 1.386937 | 1.684045 | 2.611430 |
-------- LME Zinc -------- Best ZSD strategy over the last 5 years: simple 32 91 Annualized return: 16.0% Annualized volatility: 17.5% Sharpe Ratio: 0.9 Trades/Year: 3 Long for the last 32 days. Chart:
Best ZSD strategy over the last 4 years: simple 26 101 Annualized return: 24.1% Annualized volatility: 19.3% Sharpe Ratio: 1.2 Trades/Year: 2 Long for the last 34 days. Chart:
Best ZSD strategy over the last 3 years: simple 3 6 Annualized return: 32.6% Annualized volatility: 23.7% Sharpe Ratio: 1.4 Trades/Year: 42 Long for the last 8 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best ZSD strategy over the last 2 years: simple 2 7 Annualized return: 64.0% Annualized volatility: 23.8% Sharpe Ratio: 2.7 Trades/Year: 35 Long for the last 9 days. Switches to short after 3 days if price changes by +0.25% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best ZSD strategy over the last 1 year: simple 39 43 Annualized return: 38.4% Annualized volatility: 18.0% Sharpe Ratio: 2.1 Trades/Year: 13 Long for the last 37 days. Chart:
Sharpe ratios:
| simple 32 91 | simple 26 101 | simple 3 6 | simple 2 7 | simple 39 43 | |
|---|---|---|---|---|---|
| Last 5 years | 0.913446 | 0.810166 | 0.510217 | 0.226306 | 0.209191 |
| Last 4 years | 1.067739 | 1.248768 | 0.787729 | 0.326980 | 0.288895 |
| Last 3 years | 0.754901 | 0.996296 | 1.377838 | 0.772204 | 0.531017 |
| Last 2 years | 0.563719 | 0.971048 | 2.008243 | 2.687537 | 0.634721 |
| Last 1 year | -0.550368 | -0.219485 | 0.219310 | 0.748210 | 2.140686 |
---------- COMEX Gold ---------- Best GC strategy over the last 5 years: simple 3 4 Annualized return: 16.2% Annualized volatility: 16.6% Sharpe Ratio: 1.0 Trades/Year: 75 Long for the last 5 days. Switches to short after 1 day if price changes by -2.0% per day. Chart:
Best GC strategy over the last 4 years: simple 3 4 Best GC strategy over the last 3 years: simple 82 91 Annualized return: 22.5% Annualized volatility: 16.6% Sharpe Ratio: 1.4 Trades/Year: 5 Long for the last 119 days. Chart:
Best GC strategy over the last 2 years: simple 4 8 Annualized return: 85.2% Annualized volatility: 38.3% Sharpe Ratio: 2.2 Trades/Year: 30 Long for the last 11 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best GC strategy over the last 1 year: simple 5 8 Annualized return: 128.3% Annualized volatility: 31.4% Sharpe Ratio: 4.1 Trades/Year: 27 Long for the last 10 days. Switches to short after 4 days if price changes by +1.25% per day. Switches to short after 3 days if price changes by -2.0% per day. Chart:
Sharpe ratios:
| simple 3 4 | simple 82 91 | simple 4 8 | simple 5 8 | |
|---|---|---|---|---|
| Last 5 years | 0.974599 | 0.545992 | 0.046256 | 0.013155 |
| Last 4 years | 1.000496 | 0.804406 | 0.326237 | 0.141243 |
| Last 3 years | 1.180300 | 1.356561 | 1.155523 | 0.606724 |
| Last 2 years | 1.449347 | 0.948795 | 2.222065 | 2.014086 |
| Last 1 year | 3.009863 | 1.582715 | 3.441150 | 4.089885 |
------------ COMEX Silver ------------ Best SI strategy over the last 5 years: simple 2 14 Annualized return: 21.1% Annualized volatility: 29.9% Sharpe Ratio: 0.7 Trades/Year: 25 Long for the last 12 days. Switches to short after 10 days if price changes by -0.75% per day. Switches to short after 9 days if price changes by -1.0% per day. Switches to short after 8 days if price changes by -1.25% per day. Switches to short after 7 days if price changes by -2.0% per day. Chart:
Best SI strategy over the last 4 years: simple 3 4 Annualized return: 25.8% Annualized volatility: 37.1% Sharpe Ratio: 0.7 Trades/Year: 81 Long for the last 1 day. Switches to flat after 3 days if price changes by 0% per day. Switches to short after 3 days if price changes by -2.0% per day. Chart:
Best SI strategy over the last 3 years: simple 125 190 Annualized return: 73.0% Annualized volatility: 54.6% Sharpe Ratio: 1.3 Trades/Year: 3 Long for the last 30 days. Chart:
Best SI strategy over the last 2 years: simple 1 10 Annualized return: 68.3% Annualized volatility: 37.3% Sharpe Ratio: 1.8 Trades/Year: 39 Long for the last 1 day. Switches to flat after 9 days if price changes by 0% per day. Switches to short after 9 days if price changes by -0.25% per day. Switches to short after 8 days if price changes by -0.5% per day. Switches to short after 7 days if price changes by -1.0% per day. Switches to short after 6 days if price changes by -1.75% per day. Switches to short after 5 days if price changes by -2.0% per day. Chart:
Best SI strategy over the last 1 year: simple 21 112 Annualized return: 16262.0% Annualized volatility: 1454.6% Sharpe Ratio: 11.2 Trades/Year: 6 Long for the last 49 days. Chart:
Sharpe ratios:
| simple 2 14 | simple 3 4 | simple 125 190 | simple 1 10 | simple 21 112 | |
|---|---|---|---|---|---|
| Last 5 years | 0.704520 | 0.516069 | -0.083686 | 0.211017 | -0.151007 |
| Last 4 years | 0.663102 | 0.696552 | -0.074739 | 0.175996 | -0.134857 |
| Last 3 years | 0.412813 | 1.035090 | 1.337167 | 1.044872 | -0.117337 |
| Last 2 years | 0.501496 | 0.703977 | 0.965944 | 1.832543 | -0.096282 |
| Last 1 year | 0.387452 | 0.949913 | 0.397400 | 1.633594 | 11.179397 |
-------------- NYMEX Platinum -------------- Best PA strategy over the last 5 years: simple 15 17 Annualized return: 11.2% Annualized volatility: 20.2% Sharpe Ratio: 0.6 Trades/Year: 30 Long for the last 9 days. Switches to short after 10 days if price changes by -1.25% per day. Switches to short after 9 days if price changes by -2.0% per day. Chart:
Best PA strategy over the last 4 years: simple 18 28 Annualized return: 13.1% Annualized volatility: 23.7% Sharpe Ratio: 0.6 Trades/Year: 11 Long for the last 5 days. Chart:
Best PA strategy over the last 3 years: simple 8 9 Annualized return: 37.0% Annualized volatility: 44.8% Sharpe Ratio: 0.8 Trades/Year: 44 Long for the last 15 days. Switches to short after 3 days if price changes by -2.0% per day. Chart:
Best PA strategy over the last 2 years: simple 3 5 Annualized return: 340.3% Annualized volatility: 137.3% Sharpe Ratio: 2.5 Trades/Year: 49 Short for the last 1 day. Switches to long after 3 days if price changes by +0.75% per day. Switches to long after 4 days if price changes by +0.25% per day. Switches to flat after 4 days if price changes by 0% per day. Chart:
Best PA strategy over the last 1 year: simple 59 66 Annualized return: 1324.5% Annualized volatility: 111.0% Sharpe Ratio: 11.9 Trades/Year: 14 Long for the last 17 days. Chart:
Sharpe ratios:
| simple 15 17 | simple 18 28 | simple 8 9 | simple 3 5 | simple 59 66 | |
|---|---|---|---|---|---|
| Last 5 years | 0.554739 | 0.407256 | -0.460109 | 0.018897 | -0.008051 |
| Last 4 years | 0.240559 | 0.552628 | -0.412441 | -0.035915 | -0.007188 |
| Last 3 years | -0.165494 | 0.309313 | 0.825131 | 0.017710 | -0.006248 |
| Last 2 years | -0.452074 | -0.119595 | -0.049276 | 2.477980 | -0.005394 |
| Last 1 year | -1.933450 | -1.179121 | 0.674459 | 5.114653 | 11.927388 |
--------------- NYMEX Palladium --------------- Best PL strategy over the last 5 years: simple 2 4 Annualized return: 36.5% Annualized volatility: 33.5% Sharpe Ratio: 1.1 Trades/Year: 73 Short for the last 1 day. Switches to long after 3 days if price changes by +0.25% per day. Switches to flat after 3 days if price changes by 0% per day. Chart:
Best PL strategy over the last 4 years: simple 2 4 Best PL strategy over the last 3 years: exponential 7 39 Annualized return: 82.3% Annualized volatility: 73.3% Sharpe Ratio: 1.1 Trades/Year: 12 Long for the last 3 days. Switches to short after 6 days if price changes by -0.25% per day. Switches to short after 5 days if price changes by -0.5% per day. Switches to short after 4 days if price changes by -1.0% per day. Switches to short after 3 days if price changes by -2.0% per day. Chart:
Best PL strategy over the last 2 years: simple 12 17 Annualized return: 135.5% Annualized volatility: 59.6% Sharpe Ratio: 2.3 Trades/Year: 23 Long for the last 4 days. Switches to short after 10 days if price changes by -0.5% per day. Switches to short after 9 days if price changes by -1.0% per day. Switches to short after 8 days if price changes by -1.5% per day. Switches to short after 7 days if price changes by -2.0% per day. Chart:
Best PL strategy over the last 1 year: simple 15 59 Annualized return: 59010.4% Annualized volatility: 6007.8% Sharpe Ratio: 9.8 Trades/Year: 5 Short for the last 15 days. Switches to long after 6 days if price changes by +1.5% per day. Switches to long after 7 days if price changes by +0.75% per day. Switches to long after 8 days if price changes by +0.5% per day. Switches to long after 9 days if price changes by +0.25% per day. Chart:
Sharpe ratios:
| simple 2 4 | exponential 7 39 | simple 12 17 | simple 15 59 | |
|---|---|---|---|---|
| Last 5 years | 1.088650 | -0.502809 | -0.007040 | -0.023920 |
| Last 4 years | 0.808477 | -0.458116 | -0.006285 | -0.021420 |
| Last 3 years | 0.994878 | 1.122876 | -0.005463 | -0.003628 |
| Last 2 years | 0.149266 | 1.284836 | 2.272870 | 0.006681 |
| Last 1 year | -0.127816 | 0.313070 | 2.097212 | 9.822236 |
--------------- LME Steel Scrap --------------- Best SCD strategy over the last 5 years: simple 4 9 Annualized return: 24.7% Annualized volatility: 12.6% Sharpe Ratio: 2.0 Trades/Year: 27 Long for the last 7 days. Switches to flat after 8 days if price changes by 0% per day. Switches to short after 4 days if price changes by -0.5% per day. Switches to short after 3 days if price changes by -1.0% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best SCD strategy over the last 4 years: simple 4 9 Best SCD strategy over the last 3 years: simple 21 23 Annualized return: 33.1% Annualized volatility: 21.9% Sharpe Ratio: 1.5 Trades/Year: 18 Short for the last 3 days. Switches to long after 6 days if price changes by +0.5% per day. Switches to long after 7 days if price changes by -0.25% per day. Chart:
Best SCD strategy over the last 2 years: simple 138 211 Annualized return: 210.7% Annualized volatility: 68.2% Sharpe Ratio: 3.1 Trades/Year: 2 Long for the last 75 days. Switches to short after 10 days if price changes by -2.0% per day. Chart:
Best SCD strategy over the last 1 year: exponential 190 234 Annualized return: 138.4% Annualized volatility: 81.5% Sharpe Ratio: 1.7 Trades/Year: 1 Short for the last 244 days. Chart:
Sharpe ratios:
| simple 4 9 | simple 21 23 | simple 138 211 | exponential 190 234 | |
|---|---|---|---|---|
| Last 5 years | 1.954508 | 0.841048 | -0.154831 | -0.354912 |
| Last 4 years | 1.813885 | 0.774794 | -0.138288 | -0.448401 |
| Last 3 years | 1.279974 | 1.508541 | -0.120027 | -0.516586 |
| Last 2 years | 0.840208 | 0.906168 | 3.090216 | -0.585968 |
| Last 1 year | 0.183508 | -0.995896 | 0.090992 | 1.697213 |
--------------- LME Steel Rebar --------------- Best SRD strategy over the last 5 years: simple 5 8 Annualized return: 21.6% Annualized volatility: 13.6% Sharpe Ratio: 1.6 Trades/Year: 34 Short for the last 1 day. Switches to long after 3 days if price changes by +2.0% per day. Switches to long after 4 days if price changes by +1.25% per day. Switches to long after 5 days if price changes by +0.5% per day. Switches to long after 6 days if price changes by +0.25% per day. Switches to flat after 7 days if price changes by 0% per day. Chart:
Best SRD strategy over the last 4 years: simple 6 7 Annualized return: 35.8% Annualized volatility: 19.0% Sharpe Ratio: 1.9 Trades/Year: 54 Short for the last 2 days. Switches to long after 1 day if price changes by -2.0% per day. Chart:
Best SRD strategy over the last 3 years: simple 23 26 Annualized return: 29.0% Annualized volatility: 15.7% Sharpe Ratio: 1.8 Trades/Year: 18 Short for the last 2 days. Switches to long after 7 days if price changes by +1.75% per day. Switches to long after 8 days if price changes by +1.0% per day. Switches to long after 9 days if price changes by +0.75% per day. Switches to long after 10 days if price changes by +0.5% per day. Chart:
Best SRD strategy over the last 2 years: simple 3 5 Annualized return: 100.6% Annualized volatility: 53.9% Sharpe Ratio: 1.9 Trades/Year: 56 Short for the last 1 day. Switches to long after 3 days if price changes by +0.75% per day. Switches to long after 4 days if price changes by +0.25% per day. Switches to flat after 4 days if price changes by 0% per day. Chart:
Best SRD strategy over the last 1 year: simple 190 211 Annualized return: 474.3% Annualized volatility: 284.6% Sharpe Ratio: 1.7 Trades/Year: 3 Short for the last 193 days. Chart:
Sharpe ratios:
| simple 5 8 | simple 6 7 | simple 23 26 | simple 3 5 | simple 190 211 | |
|---|---|---|---|---|---|
| Last 5 years | 1.584139 | 0.926545 | 1.429271 | 0.004047 | -0.212431 |
| Last 4 years | 1.494890 | 1.884691 | 1.723698 | 0.000224 | -0.243549 |
| Last 3 years | 1.061073 | 0.884388 | 1.845593 | 0.019029 | -0.257333 |
| Last 2 years | 1.601396 | 1.692883 | 1.671385 | 1.866845 | -0.200744 |
| Last 1 year | -0.315824 | 0.152973 | 1.041368 | 0.200346 | 1.666362 |
------------------- LME Steel HRC China ------------------- Best HCD strategy over the last 5 years: exponential 1 3 Annualized return: 27.3% Annualized volatility: 13.2% Sharpe Ratio: 2.1 Trades/Year: 67 Long for the last 2 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best HCD strategy over the last 4 years: simple 2 4 Annualized return: 55.1% Annualized volatility: 21.0% Sharpe Ratio: 2.6 Trades/Year: 61 Long for the last 4 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best HCD strategy over the last 3 years: simple 8 10 Annualized return: 28.9% Annualized volatility: 20.3% Sharpe Ratio: 1.4 Trades/Year: 34 Short for the last 12 days. Switches to long after 2 days if price changes by -2.0% per day. Chart:
Best HCD strategy over the last 2 years: simple 6 39 Annualized return: 41.9% Annualized volatility: 21.2% Sharpe Ratio: 2.0 Trades/Year: 8 Short for the last 7 days. Switches to long after 1 day if price changes by -2.0% per day. Chart:
Best HCD strategy over the last 1 year: simple 154 190 Annualized return: 11.1% Annualized volatility: 6.6% Sharpe Ratio: 1.7 Trades/Year: 2 Short for the last 215 days. Chart:
Sharpe ratios:
| exponential 1 3 | simple 2 4 | simple 8 10 | simple 6 39 | simple 154 190 | |
|---|---|---|---|---|---|
| Last 5 years | 2.066551 | 1.801211 | 1.666410 | 0.547845 | 1.400056 |
| Last 4 years | 2.164332 | 2.626608 | 2.004121 | 0.619603 | 1.523221 |
| Last 3 years | 0.961372 | 0.853805 | 1.419055 | 1.057201 | 0.588032 |
| Last 2 years | 0.441262 | 0.969727 | 1.835237 | 1.976700 | 1.935567 |
| Last 1 year | -1.784094 | 0.665464 | 1.125154 | 0.317519 | 1.685536 |
---------------- SGX Iron Ore 62% ---------------- Best FEF strategy over the last 5 years: simple 1 6 Annualized return: 43.9% Annualized volatility: 19.4% Sharpe Ratio: 2.3 Trades/Year: 51 Long for the last 5 days. Switches to flat after 5 days if price changes by 0% per day. Switches to short after 3 days if price changes by -0.75% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best FEF strategy over the last 4 years: simple 1 6 Best FEF strategy over the last 3 years: simple 6 43 Annualized return: 49.8% Annualized volatility: 27.1% Sharpe Ratio: 1.8 Trades/Year: 5 Long for the last 27 days. Switches to short after 10 days if price changes by -0.5% per day. Switches to short after 8 days if price changes by -1.0% per day. Switches to short after 7 days if price changes by -1.5% per day. Switches to short after 6 days if price changes by -2.0% per day. Chart:
Best FEF strategy over the last 2 years: simple 2 3 Annualized return: 26.2% Annualized volatility: 11.4% Sharpe Ratio: 2.3 Trades/Year: 89 Long for the last 5 days. Switches to flat after 2 days if price changes by 0% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best FEF strategy over the last 1 year: exponential 101 190 Annualized return: 934.7% Annualized volatility: 143.2% Sharpe Ratio: 6.5 Trades/Year: 0 Long for the last 340 days. Chart:
Sharpe ratios:
| simple 1 6 | simple 6 43 | simple 2 3 | exponential 101 190 | |
|---|---|---|---|---|
| Last 5 years | 2.257877 | 0.730808 | 1.607477 | -0.098432 |
| Last 4 years | 2.557131 | 1.886811 | 1.586694 | -0.063041 |
| Last 3 years | 1.690073 | 1.836705 | 1.309704 | -0.267247 |
| Last 2 years | 1.162469 | 0.860032 | 2.294529 | 0.031547 |
| Last 1 year | 1.042477 | 0.779347 | 1.460113 | 6.527632 |
------------------------- SGX Iron Ore Lump Premium ------------------------- Best LPF strategy over the last 5 years: exponential 1 6 Annualized return: 57.4% Annualized volatility: 21.3% Sharpe Ratio: 2.7 Trades/Year: 25 Long for the last 28 days. Switches to short after 4 days if price changes by -0.25% per day. Switches to short after 3 days if price changes by -0.75% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best LPF strategy over the last 4 years: exponential 1 2 Annualized return: 56.4% Annualized volatility: 15.2% Sharpe Ratio: 3.7 Trades/Year: 39 Long for the last 30 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best LPF strategy over the last 3 years: exponential 1 2 Best LPF strategy over the last 2 years: simple 60 211 Annualized return: 605.2% Annualized volatility: 127.7% Sharpe Ratio: 4.7 Trades/Year: 2 Short for the last 51 days. Chart:
Best LPF strategy over the last 1 year: exponential 1 4 Annualized return: 13.4% Annualized volatility: 3.0% Sharpe Ratio: 4.4 Trades/Year: 24 Long for the last 30 days. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Sharpe ratios:
| exponential 1 6 | exponential 1 2 | simple 60 211 | exponential 1 4 | |
|---|---|---|---|---|
| Last 5 years | 2.688463 | 2.155955 | -0.196439 | 1.833984 |
| Last 4 years | 3.343308 | 3.709576 | -0.175977 | 3.102055 |
| Last 3 years | 3.294345 | 3.575205 | -0.153932 | 3.044558 |
| Last 2 years | 2.909589 | 4.602232 | 4.739080 | 3.301814 |
| Last 1 year | 3.580820 | 4.224830 | 0.840439 | 4.443960 |
---------------- SGX Iron Ore 65% ---------------- Best M65F strategy over the last 5 years: simple 1 7 Annualized return: 45.5% Annualized volatility: 20.7% Sharpe Ratio: 2.2 Trades/Year: 47 Long for the last 5 days. Switches to flat after 6 days if price changes by 0% per day. Switches to short after 4 days if price changes by -0.25% per day. Switches to short after 3 days if price changes by -1.0% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best M65F strategy over the last 4 years: simple 1 7 Best M65F strategy over the last 3 years: simple 1 7 Best M65F strategy over the last 2 years: simple 2 3 Annualized return: 27.7% Annualized volatility: 11.6% Sharpe Ratio: 2.4 Trades/Year: 89 Long for the last 5 days. Switches to flat after 2 days if price changes by 0% per day. Switches to short after 2 days if price changes by -2.0% per day. Chart:
Best M65F strategy over the last 1 year: simple 91 234 Annualized return: 4006.5% Annualized volatility: 609.3% Sharpe Ratio: 6.6 Trades/Year: 2 Long for the last 188 days. Switches to short after 10 days if price changes by +0.75% per day. Switches to short after 9 days if price changes by +0.5% per day. Switches to short after 8 days if price changes by 0% per day. Switches to short after 7 days if price changes by -1.0% per day. Switches to short after 6 days if price changes by -2.0% per day. Chart:
Sharpe ratios:
| simple 1 7 | simple 2 3 | simple 91 234 | |
|---|---|---|---|
| Last 5 years | 2.197662 | 1.460847 | -0.076433 |
| Last 4 years | 2.641056 | 1.659705 | -0.080968 |
| Last 3 years | 1.870230 | 1.549832 | -0.128819 |
| Last 2 years | 1.590054 | 2.395017 | -0.077136 |
| Last 1 year | 1.139514 | 2.071020 | 6.576157 |